Earticle

초록

영어

This paper investigates whether commonality in investors’ irrationality exists in two different markets. Using a proxy for investors’ irrationality in the U.S. and the Korean market, we show that the commonality exists in both markets. To test the existence of the commonality, we apply three different methods used in the literature about the commonality of liquidity. The results provide the exact link between investors’ irrationality and its effect on stock returns shown in the behavioral finance literature.

목차

Abstract
 1. Introduction
 2. Data
  2.1. Institutional churn rate
  2.2. Individual composition of trading volume
  2.3. Correlations
 3. Empirical results for commonality in investors’ irrationality
  3.1. Market model regression
  3.2. Principal component analysis
  3.3. Time-series regression for two exclusive groups
  3.4. Further study: Commonality in the up and down markets
 4. Interpretation of the results
 5. Conclusion
 Table
 References

키워드

저자

• Joon Chae [ Seoul National University, Seoul, Korea ]
• Cheol-Won Yang [ Seoul National University, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330